Tid: 11 juni 2007 kl 15.15-16.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Johan Land

Titel: Real and Risk-Neutral Probability Distributions (Examensarbete)

Sammanfattning: An implicit risk-neutral distribution function is calculated in two different ways. First a direct method is explored, then a method using the smiley. The first method is found not working while the latter method is working very well. The implicit risk-neutral distribution functions are compared to both the theoretical log-normal distribution and the real distribution calculated on real price changes. The implicit risk-neutral distribution is found to correspond very well to the real distribution, but the theoretical distribution differs very much. The calculated distribution has thicker left tail and higher maximum than the theoretical distribution.

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